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Assessing Relative Volatility/Intermittency/Energy Dissipation

Publikation: Working paperForskning

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Assessing Relative Volatility/Intermittency/Energy Dissipation. / Barndorff-Nielsen, Ole E.; Pakkanen, Mikko; Schmiegel, Jürgen.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

Publikation: Working paperForskning

Harvard

APA

Barndorff-Nielsen, O. E., Pakkanen, M., & Schmiegel, J. (2013). Assessing Relative Volatility/Intermittency/Energy Dissipation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2013-15

CBE

MLA

Barndorff-Nielsen, Ole E., Mikko Pakkanen, og Jürgen Schmiegel Assessing Relative Volatility/Intermittency/Energy Dissipation. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal nr. 2013-15). 2013., 20 s.

Vancouver

Author

Barndorff-Nielsen, Ole E. ; Pakkanen, Mikko ; Schmiegel, Jürgen. / Assessing Relative Volatility/Intermittency/Energy Dissipation. Aarhus : Institut for Økonomi, Aarhus Universitet, 2013. (CREATES Research Papers; Nr. 2013-15).

Bibtex

@techreport{1b9d2d0aa05f4529a0ef8aabdc8028ed,
title = "Assessing Relative Volatility/Intermittency/Energy Dissipation",
abstract = "We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency.",
keywords = "Brownian semistationary process, energy dissipation, intermittency, power variation, turbulence, volatility.",
author = "Barndorff-Nielsen, {Ole E.} and Mikko Pakkanen and J{\"u}rgen Schmiegel",
year = "2013",
month = may,
day = "14",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2013-15",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Assessing Relative Volatility/Intermittency/Energy Dissipation

AU - Barndorff-Nielsen, Ole E.

AU - Pakkanen, Mikko

AU - Schmiegel, Jürgen

PY - 2013/5/14

Y1 - 2013/5/14

N2 - We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency.

AB - We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency.

KW - Brownian semistationary process, energy dissipation, intermittency, power variation, turbulence, volatility.

M3 - Working paper

T3 - CREATES Research Papers

BT - Assessing Relative Volatility/Intermittency/Energy Dissipation

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -